Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 6 | 6 | 7 |
| Score | 1.61 | 0.86 | 2.52 |
| Market Cap (Millions USD) | 7198.77 | 7283.69 | 7481.44 |
| Predicted Beta | 2.45 | 2.48 | 2.47 |
| Idiosyncratic Volatility | 2.29 | 3.15 | 3.84 |
Annualized return and volatility
| IJK | |
|---|---|
| Annualized Return | 0.0770 |
| Annualized Std Dev | 0.2091 |
| Annualized Sharpe (Rf=0%) | 0.3682 |
Row
Daily Return Statistics
| IJK | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.0981 |
| Quartile 1 | -0.0057 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0069 |
| Maximum | 0.0861 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0132 |
| Skewness | -0.2273 |
| Kurtosis | 5.2789 |
Downside Risk
| IJK | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.5448 |
| Historical VaR (95%) | -0.0208 |
| Historical ES (95%) | -0.0315 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0358 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-06 | 2008-11-20 | 2010-11-04 | -0.5448 | 620 | 120 | 500 |
| 2000-09-05 | 2002-10-09 | 2005-11-17 | -0.4620 | 1332 | 534 | 798 |
| 2011-07-08 | 2011-10-03 | 2012-09-13 | -0.2574 | 305 | 62 | 243 |
| 2018-09-17 | 2018-12-24 | 2019-11-27 | -0.2395 | 307 | 70 | 237 |
| 2015-08-18 | 2016-02-11 | 2016-07-11 | -0.1846 | 229 | 125 | 104 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IJK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | 0.5 | 1.1 | 0.0 | 0.2 | 2.9 | 0 | 4.8 |
| 2001 | -1.1 | -0.2 | 0.0 | 1.4 | 0.8 | 0.0 | 0.6 | 0.0 | -2.5 | 1.3 | 0.0 | 0 | 0.2 |
| 2002 | -0.4 | 2.6 | 0.1 | 0.1 | 0.0 | -3.0 | -2.5 | 0.0 | 1.4 | 1.9 | 0.0 | 0 | 0.1 |
| 2003 | 0.0 | 0.0 | -0.2 | 0.1 | 0.0 | 0.8 | -1.0 | 0.0 | 1.9 | 0.0 | 1.5 | 0 | 3.2 |
| 2004 | 0.0 | 2.0 | 1.0 | 0.0 | 0.4 | -1.0 | 0.0 | 0.7 | 1.6 | -0.2 | 1.1 | 0 | 5.7 |
| 2005 | 0.5 | 0.6 | -0.3 | 0.0 | 0.8 | 0.4 | 0.3 | -0.7 | 0.0 | 1.3 | 1.2 | 0 | 4.0 |
| 2006 | 0.5 | 1.6 | 0.0 | -0.3 | 1.4 | 0.0 | -0.8 | 0.8 | 0.0 | -1.3 | 0.0 | 0 | 1.9 |
| 2007 | 1.0 | -0.4 | 0.0 | 0.4 | 0.6 | 0.0 | 0.2 | 0.0 | 1.3 | -2.0 | 0.0 | 0 | 1.0 |
| 2008 | 2.3 | 0.0 | 3.1 | 0.6 | 0.0 | 0.3 | -0.1 | 0.0 | -1.3 | 0.0 | -9.8 | 0 | -5.4 |
| 2009 | 0.0 | 0.0 | 0.9 | 0.3 | 3.7 | 0.7 | 0.0 | -1.9 | -2.7 | 0.0 | 1.6 | 0 | 2.3 |
| 2010 | 1.5 | 2.1 | 1.1 | 0.0 | -2.5 | -0.4 | 0.0 | 3.3 | 0.1 | -0.1 | 1.9 | 0 | 7.1 |
| 2011 | 1.3 | -1.7 | 0.5 | 0.0 | -2.3 | 1.7 | -0.6 | -1.5 | 0.0 | -3.2 | -0.4 | 0 | -6.2 |
| 2012 | 1.8 | 0.9 | 0.0 | 0.5 | -3.3 | 0.0 | -0.9 | 0.0 | -0.5 | 2.4 | 0.0 | 0 | 0.7 |
| 2013 | 0.8 | -0.2 | -1.1 | -1.8 | 0.0 | 1.0 | 2.2 | 0.0 | 1.6 | 0.3 | 0.0 | 0 | 2.8 |
| 2014 | 0.0 | 0.0 | 1.2 | 0.3 | 0.0 | 1.0 | -0.2 | 0.0 | -1.4 | 0.0 | -1.5 | 0 | -0.7 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.1 | 0.3 | 0.5 | 0.0 | -2.7 | -0.2 | 0.0 | 0.8 | 0 | -0.6 |
| 2016 | 0.2 | 2.3 | 0.7 | 0.0 | 0.4 | 0.1 | 0.2 | 0.1 | 0.0 | -1.0 | -0.5 | 0 | 2.4 |
| 2017 | -0.2 | 1.6 | 0.0 | 0.5 | 1.4 | 0.0 | 0.4 | 0.3 | 0.0 | -0.3 | -0.3 | 0 | 3.4 |
| 2018 | 0.3 | -0.5 | 0.0 | 0.6 | 0.7 | 0.0 | -0.2 | 0.0 | -0.8 | 2.2 | 0.0 | 0 | 2.2 |
| 2019 | 0.3 | 0.8 | 1.1 | -1.1 | 0.0 | 0.3 | -1.0 | 0.0 | -1.7 | 1.3 | 0.0 | 0 | 0.0 |
Row
Rolling Performance Chart
Snail Trail Chart
